I strong suggest that you go back to see your doctor
. It sounds like the first round of tests didn't turn up much. However, this was a while ago and, since you are still in pain, it is time to talk about the problem again with your doctor and see what together you can come up with.
There are many potential causes for pain in the leg. Sometimes, the pain is related to an old injury
or to arthritis especially if it is centered around a joint. Sometimes, the pain is caused by damage or inflammation to a nerve, called a neuropathy. Unlike injury or arthritis pain, which tends to be aching, neuropathy tends to cause shooting pains or numbness and tingling in the leg. So, as you can see, the character of the pain symptoms is often very helpful because it can help point your doctor towards any potential causes.
You are right that sometimes, even after extensive medical testing, no cause for a particular pain can be found. This does not however mean that the pain is 'in your head' - it just means that you have a low pain threshold or some other pain sensing trigger which has not been yet identified. In this case, you may benefit from a chronic pain consultation, which is something that your primary care doctor
can set up.